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Estimation error and the specification of unobserved component models

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  • Maravall, Agustin
  • Planas, Christophe

Abstract

The paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and covariances of the different types of estimation errors (errors in the final, preliminary, and concurrent estimator and in the forecast) are obtained for any admissible decomposition.
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Suggested Citation

  • Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
    • Handle: RePEc:eee:econom:v:92:y:1999:i:2:p:325-353
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    Cited by:

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    2. Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 2000. "What Drives Private Saving Across the World?," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 165-181, May.
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    4. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
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    6. Kaloyan Ganev, 2004. "Statistical estimates of the deviations from the macroeconomic potential. An application to the economy of Bulgaria," Working paper series 12004en, Agency for Economic Analysis and Forecasting.
    7. Maravall, Agustín, 2000. "Notes on time serie analysis, ARIMA models and signal extraction," DES - Working Papers. Statistics and Econometrics. WS 10058, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Tommaso Proietti, 2021. "Predictability, real time estimation, and the formulation of unobserved components models," Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 433-454, April.
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    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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